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Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel - 2016
Persistent link: https://www.econbiz.de/10011399615
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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
fail in practice. Modeling and Valuation of Energy Structures is a comprehensive guide to quantitative and statistical … plays in valuation. Examples are provided to illustrate that robust, approximate valuations are to be preferred to overly …
Persistent link: https://www.econbiz.de/10014306581
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Demand-Based Option Pricing
Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10005067592
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A cumulative prospect view on portfolios that hold structured products
Vandenbroucke, Jürgen - In: The journal of behavioral finance : a publication of … 16 (2015) 4, pp. 297-310
Persistent link: https://www.econbiz.de/10011566139
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The effect of issuer leverage on issuer bid and ask quotes for structured retail products
Petry, Stefan - In: The European journal of finance 27 (2021) 11, pp. 1073-1097
Persistent link: https://www.econbiz.de/10012609262
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Transparent structured products for retail investors
Kallio, Markku; Halme, Merja; Hardoroudi, Nasim Dehghan; … - In: European journal of operational research : EJOR 302 (2022) 2, pp. 752-767
Persistent link: https://www.econbiz.de/10013270173
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Engineering lemons
Vokata, Petra - In: Journal of financial economics 142 (2021) 2, pp. 737-755
Persistent link: https://www.econbiz.de/10013259989
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Fourier based methods for the management of complex life insurance products
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 320-341
Persistent link: https://www.econbiz.de/10012793930
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Diversification with options and structured products
Yuan, Shuonan; Rieger, Marc Oliver - In: Review of derivatives research 24 (2021) 1, pp. 55-77
Persistent link: https://www.econbiz.de/10012498474
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Retail investor information demand : speculating and investing in structured products
Schroff, Sebastian; Meyer, Stephan; Burghof, Hans-Peter - In: The European journal of finance 22 (2016) 10/12, pp. 1063-1085
Persistent link: https://www.econbiz.de/10011715303